How would I go about putting additional constraints on a unit simplex? For instance, if a simplex is w>0, sum(w)=1, then I want Aw=b instead of sum(w)=1. Below I have my original, simple model. It’s just doing a regression with a constant vector of ones on the left with simplex coefficients. I wan…

Additional constraint on unit simplex

jmh530 January 23, 2018, 9:38pm 4

I had ignored it…

d/dw (w’mu) = mu, so you would be incrementing by a constant.

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